Related papers: Dual representations for general multiple stopping…

Reinforcement learning has by now become well established in finding excellent flow control strategies for a variety of scenarios. Existing literature has focused on using a simple two-jet solution (and variants there-of) or a…

Modern techniques for physical simulations rely on numerical schemes and mesh-refinement methods to address trade-offs between precision and complexity, but these handcrafted solutions are tedious and require high computational power.…

We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the…

We study super--replication of contingent claims in markets with fixed transaction costs. This can be viewed as a stochastic impulse control problem with a terminal state constraint. The first result in this paper reveals that in reasonable…

We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-dimensional, jump costs are most naturally computed by linear…

We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that…

A variety of boundary value problems in linear transport theory are expressed as a diffusion equation of the two-way, or forward-backward, type. In such problems boundary data are specified only on part of the boundary, which introduces…

In this paper, we show the existence of a sequence of eigenvalues for a Dirichlet problem involving two mixed fractional operators with different orders. We provide lower and upper bounds for the sum of the eigenvalues. Applications of…

Most fluid flow problems that are vital in engineering applications involve at least one of the following features: turbulence, shocks, and/or material interfaces. While seemingly different phenomena, these flows all share continuous…

In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numerical solution to the problem of…

We investigate operator dynamics and entanglement growth in dual-unitary circuits, a class of locally scrambled quantum systems that enables efficient simulation beyond the exponential complexity of the Hilbert space. By mapping the…

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…

The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…

Poor sample efficiency is a major limitation of deep reinforcement learning in many domains. This work presents an attention-based method to project neural network inputs into an efficient representation space that is invariant under…

We consider the problem of approximation of density functions which is important in the theory of pricing of basket options. Our method is well adopted to the multidimensional case. Observe that implementations of polynomial and spline…

We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…

Multitime differential games are related to the modeling and analysis of cooperation or conflict in the context of a multitime dynamical systems. Their theory involves either a curvilinear integral functional or a multiple integral…

We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…

Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the…

Several methods have been proposed in the literature to solve reliability-based optimization problems, where failure probabilities are design constraints. However, few methods address the problem of life-cycle cost or risk optimization,…